Tuesday, June 10, 2014

Stocks Slightly Lower into Final Hour on Rising Eurozone/Emerging Markets Debt Angst, Yen Strength, Profit-Taking, REIT/Restaurant Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.97 -1.61%
  • Euro/Yen Carry Return Index 144.69 -.51%
  • Emerging Markets Currency Volatility(VXY) 6.51 -1.21%
  • S&P 500 Implied Correlation 50.10 -4.04%
  • ISE Sentiment Index 121.0 +.83%
  • Total Put/Call .72 -13.25%
  • NYSE Arms .70 -34.59% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.51 +.35%
  • European Financial Sector CDS Index 59.49 +3.26%
  • Western Europe Sovereign Debt CDS Index 28.55 +1.67%
  • Asia Pacific Sovereign Debt CDS Index 74.36 -.92%
  • Emerging Market CDS Index 237.51 +1.02%
  • China Blended Corporate Spread Index 313.20 -.62%
  • 2-Year Swap Spread 13.75 -.75 basis point
  • TED Spread 20.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.25 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 220.0 +1.0 basis point
  • China Import Iron Ore Spot $93.60/Metric Tonne -.74%
  • Citi US Economic Surprise Index -13.20 unch.
  • Citi Emerging Markets Economic Surprise Index -11.90 +1.3 points
  • 10-Year TIPS Spread 2.20 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -5 open in Japan
  • DAX Futures: Indicating -2 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my medical sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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